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You are in Direct - Fixed Income » ESG incorporation in actively managed fixed income

アクティブ運用している債券におけるESGの組み入れ

実施プロセス

FI 01. Incorporation strategies applied

以下を記載してください。 (1)組織でアクティブ運用する債券投資について、どのESG組み入れ戦略や組み合わせを使用しているか(2)各戦略が適用されるアクティブ運用債券投資合計の割合(+/- 5%)
SSA
100 スクリーニングのみ
0 テーマのみ
0 統合のみ
0 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%
社債(金融)
0 スクリーニングのみ
0 テーマのみ
0 統合のみ
100 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%
社債(非金融)
0 スクリーニングのみ
0 テーマのみ
0 統合のみ
90 スクリーニング + 統合戦略
10 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%
証券化商品
100 スクリーニングのみ
0 テーマのみ
0 統合のみ
0 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%

01.2. 特定のESG組み入れ戦略を選択している理由と、使用する戦略の組み合わせを説明してください。

It is our belief that ESG considerations is essential in order to be able to assess the risks which could impact an issuers creditworthiness. Hence, we have decided to take a systematic approach to ESG incorporation within fixed income through a combination of the strategies below.

Screening is applied (quarterly) to all our fixed income investments. This strategy was chosen to meet client demands, but also because we believe that certain business practices simply are misaligned with a sustainable development and therefore not eligible for investment.

Thematic strategy is applied primarily to our Green Bond fund, but all our corporate bond funds can and do invest in both green bonds and sustainability bonds. In addition to second opinion and third-party reviews, we also conduct our own assessment of the issuer’s green bond framework in order to make sure that the use of proceeds meet our sustainability criterias.

Integration strategy. All fixed income mandates are managed in-house, in close collaboration between our fixed income team and ESG-team. We have taken a systematic approach to ESG integration which is explained in more detail in section FI 10-12.

01.3. 補足情報 [任意]

In terms of SSA, we only invest in Swedish sovereign bonds and Swedish municipalities, which we assess as having good governance and low ESG-risk. 


FI 02. ESG issues and issuer research

02.1. 発行体に対する分析の一部として体系的に調査するESG要因を明示してください。

SSA
社債(金融)
社債(非金融)
証券化商品
環境データ
社会的データ
ガバナンスデータ

02.2. 入ってくるESG情報のフォーマットと主な情報源を明示してください。

この情報の提供者を説明してください
この情報の提供者を説明してください
この情報の提供者を説明してください
この情報の提供者を説明してください

02.3. 使用されているESG情報を簡単に説明してください。ESG組み入れ戦略全体における情報源の違いを明らかにしてください。

We use two main data providers for ESG data and research on. In addition to this, we also conduct our own issuer-specific assessment in-house - which is more qualitative in nature - to complement the quantitative rating from the ESG data provider.

We have developed sector specific ESG scorecards including the most material aspects that could affect certain issuers or industries. These scorecards have been developed by the ESG-team in collaboration with the portfolio managers, outlining how relevant each ESG variable is, its potential risk and its importance for the credit valuation. The inhouse-scorecards use ESG data from third parties as input, based on which we then build our own materiality framework and assessment. We use ESG data from different providers in order to be able to benchmark different metrics and make sure the information is reliable and robust.

Our current ESG data and research providers are Refinitiv (raw ESG company data), Sustainalytics (raw ESG company data and issuer-specific analysis) as well as sell-side research, for example from the credit rating agencies. We also use public information and industry benchmarks/rankings as input.

02.4. 補足情報 [任意]


FI 03. Processes to ensure analysis is robust

03.1. 組織のESG調査プロセスの堅牢性を確保する方法を記載してください。

03.2. ESG情報または分析を投資チーム内で共有する方法を記載してください。

03.3. 補足情報 [任意]

We have an ESG research log where ESG analysts add company-specific research notes, for example after company presentations and meetings. For more information on the materiality framework and ESG scorecards which we use and regularly update, see FI 10. 

The portfolio managers always have access to this log. The ESG-team send ESG-updates to relevant portfolio team when a change is made for example when a company issues a new bond. These ESG-updates includes a short comment, the company's ESG risk profile and the ESG-teams' view/outlook on this particular issuer. Through these updates the ESG-team also notify portfolio managers about the engagement process and potential changes in our assessment.

If an issuer has high ESG risk rating, and if the ESG team has a negative outlook for the specific issuer, this is discussed at regular meetings with the portfolio team and the ESG team (monthly). Depending on the outcome, we could decide to engage or divest.


A) 実施:スクリーニング

FI 04. Types of screening applied

04.1. 実施するスクリーニングの種類を記載してください。

当てはまる項目を全てを選択してください
SSA
社債(金融)
社債(非金融)
証券化商品
ネガティブ/ 排他的スクリーニング
ポジティブ/業界最高のスクリーニング
基準に基づくスクリーニング

04.2. 組織内でアクティブ運用している債券に適用するスクリーニングのアプローチを記載してください。

Screening is conducted quarterly and is provided by a third-party ESG data provider, results are reviewed by the ESG team.

Negative/exclusionary screening:

Norms-based screening. Issuers confirmed for violating international norms and conventions (ILO, UN Global Compact etc., see FI 05.1 for more examples) are not eligible for investments.
Controversial weapons. Screens out issuers involved in manufacture and production of cluster munitions, biological and chemical weapons and anti-personnel landmines.
Product-related. Screens out issuers involved in production and distribution of alcohol, tobacco, pornography and gambling. Also screens out companies involved in extraction of fossil fuels (max. 0% of company revenues allowed), as well as coal-based energy production or oil- and gas services (max. 10% of company revenues allowed).

Positive screening:

Bond issuers ESG ratings is retrieved from ESG data provider, quarterly updated and readily available in centralized portfolio data system. Underlying ESG data variables feeds into sector-specific scorecard, used for issuer assessment and selection. Screening results and specific ESG issues are discussed at regular meetings with the portfolio management team (monthly).

04.3. 補足情報 [任意]


FI 05. Examples of ESG factors in screening process

05.1. スクリーニング条件に含まれているESG要因の例を挙げてください。

種類

ESG要因

スクリーニング

スクリーニングの説明

Negative/exclusionary screening:
Controversial weapons. Screens out companies involved in manufacture and production of cluster munitions, biological and chemical weapons and anti-personnel landmines.
Product-related (ethical/social factors). Screens out companies involved in production and distribution of alcohol, tobacco, pornography and gambling.
Sector-specific (environmental factors). Also screens out companies involved in extraction of fossil fuels (max. 0% of company revenues allowed), as well as coal-based energy production or oil- and gas services (max. 10% of company revenues allowed).

種類

ESG要因

スクリーニング

スクリーニングの説明

Norms-based screening. Companies confirmed for violating international norms and conventions are not eligible for investments, based on UN Global Compact, OECD guidelines and ILO conventions.

Examples of environment-related conventions, human rights, labour and anti-corruption:

  •  Rio Declaration on Environment and Development
  •  The Declaration of the United Nations Conference on the Human Environment
  •  Paris Agreement
  •  The Universal Declaration of Human Rights
  •  Convention on the Rights of the Child
  •  Declaration on the Rights of Indigenous People
  •  ILO Declaration on Fundamental Principles and Rights at Work
  •  UN Convention against Corruption

種類

ESG要因

スクリーニング

スクリーニングの説明

Positive screening. Bond issuers ESG ratings is retrieved from ESG data provider, quarterly updated and readily available in centralized portfolio data system. ESG factors we have included in the corporate (financial) scorecard are: climate-related risks, ESG integration, business ethics and compliance, product quality and governance, management incentives and risk & resilience. Underlying ESG data variables feeds into sector-specific scorecard, used for issuer assessment and selection.

種類

ESG要因

スクリーニング

スクリーニングの説明

Positive screening. Bond issuers ESG ratings is retrieved from ESG data provider, quarterly updated and readily available in centralized portfolio data system. ESG factors we have included in the corporate (non-financial) scorecard are for example: environmental governance, climate change, resource use, human rights, employee relations, CSR strategy and business ethics. Underlying ESG data variables feeds into sector-specific scorecard, used for issuer assessment and selection.

05.2. 補足情報 [任意]


FI 06. Screening - ensuring criteria are met

06.1. 債券投資においてファンドスクリーニングの基準に違反がないことを確認するために組織が使用しているシステムを記載してください。

スクリーニングの種類
ネガティブ/排他的スクリーニング​
ポジティブ/業界最高のスクリーニング
基準に基づくスクリーニング​

06.2. 補足情報 [任意]

The internal risk control function monitors on a daily basis that our fund holdings are in line with its screening criteria. Any deviations must immediately be reported to the portfolio manager, CEO and Head of Responsible investment. The portfolio managers must sell any position that are in breach of the screening criteria. Head of Responsible investment must annually report to the Board of Directors on the selection process and its compliance.


B) 実施:テーマ

FI 07. Thematic investing - overview

07.1. テーマ投資の割合を示してください。

90 %
10 %

07.2. テーマ債券投資に対する組織のアプローチについて説明してください。

Öhman offers one Green Bond Fund which applies a thematic strategy. Öhman Green Bond Fund invests in green bonds with a particular focus on investment grade corporate issuers. In addition to this, all of our corporate credit funds can invest in green bonds so it is not limited to one dedicated fund.

We actively seek to broaden the scope by investing more in sustainability bonds, with both a green and a social impact. For example, we have invested in one blue bond issued by the Nordic Investment Bank. 

07.3. 補足情報 [任意]

We support the development of the green bond market. For example, we have engaged in the project Green Assets Wallet. The Green Assets Wallet (GAW) is the result of a consortium of leading capital market actors and technology innovators formed under the lead of Stockholm Green Digital Finance. The Wallet is a blockchain-tool that was developed to deliver efficiency and transparency to the green debt market in support of scaling the supply of, and investment in, credible green investment opportunities through validation and reporting of green impacts. Read more about the project here: https://greenassetswallet.org/


FI 08. Thematic investing - themed bond processes

08.1. グリーン債原則に従ったテーマ債券の発行に関連する透明性や開示を奨励しているかどうか示してください。社会貢献債原則またはサステナビリティ債ガイドライン。

08.2. 発行体が提供文書の記載に従って、債券収益を配分していないときに取るべき対応策を説明してください。

If the issuer would not disburse bond proceeds as described in the green framework and other documents, we would engage with the issuer and potentially decide to divest.

08.3. 補足情報 [任意]


FI 09. Thematic investing - assessing impact

09.1. 組織のテーマ投資の環境的または社会的影響を評価する方法を示してください。

09.2. 補足情報 [任意]


C) 実施:ESG問題の統合

FI 10. Integration overview

10.1. ESGを従来の財務分析に統合するアプローチを説明してください。

It is our firm belief that ESG considerations is essential in order to be able to assess the risks and opportunities which could impact an issuers creditworthiness, both in the short- and long-term. For this reason, we have decided to take a systematic approach to ESG incorporation. During the last 1 ½ year we have been working on a more close collaboration between the fixed income team and ESG team. We have held dedicated workshops focusing on materiality at sector level, as well as discussed ESG in relation to the different characteristics which could influence our credit view (such as pricing, bond maturity and term structure). In particular, we have discussed how different time horizons for certain ESG risks could yield different investment decisions. This work has improved the overall knowledge in the fixed income team and the ESG team. Below follows a more elaborate description of our investment process.

ESG is a standard element in the credit evaluation and investment process. If we do not consider that the ESG risks would fundamentally impact the issuers credit quality or default risk, or if we believe that the bond issuer has the financial strength to mitigate the risks, these risks are not considered in the investment decision. The main goal is to identify potential downside risks, for example to avoid costly scandals that could affect an issuer's ability to repay debt.

  • PM’s inform the ESG team of potentially interesting companies and new issuances. An ESG Due Diligence is conducted to ensure that it meets our minimum requirements, if it is a new issuer which have not been assessed before. The ESG team makes a qualitative assessment of the company's ESG profile and makes a recommendation (positive / neutral / negative outlook). The ESG score from the external service provider, which is a more of a quantitative score, is thus complemented by our own qualitative assessment.
  • We regularly monitor the ESG risks of our bond holdings. The credit analysis is partly built on a four-dimensional assessment of business risk; industry analysis, competitive position, management and country risk. The ESG factors can influence all of these dimensions of the business risk. The PM can decide to notch the business risk up or down, depending on how ESG factors weigh on and impact the credit credentials. These adjustments to the business risk are documented in our internal systems. 
  • We have developed sector specific ESG scorecards including the most material aspects that could affect specific industries. These scorecards have been developed by the ESG-team in collaboration with the portfolio managers, outlining the ESG factors based on their potential risk and importance for the credit valuation. It is the PM’s ultimate responsibility to assess how these factors impacts the pricing of the bond, such as how these risks and / or opportunities may affect the company's cash flow and creditworthiness.
  • If an issuer has high ESG risk rating, and if the ESG team has a negative outlook for the specific issuer, this is discussed at regular meetings with the portfolio team and the ESG team (monthly). If we continue to have a negative view of the company's ESG profile, and do not see the necessary improvements, we can choose to divest. These regular meetings can also be dedicated to a specific sector to discuss which ESG factors we currently deem relevant to the credit assessment. We discuss individual corporates and sectors on a regular basis also to identify any material changes to their ESG profile.
  • We could decide to invest in a company with a high ESG risk, if we consider that the company has the potential to improve or if we believe that we are compensated for the risk. ESG factors are thus evaluated alongside the financial credit metrics.

The strength of our integration process is that we have a close and ongoing dialogue between the ESG team, credit analysts and portfolio managers. Together we form a view and determine the impact of ESG related issues in our bond selection process.

10.2. 投資する債券の各種類に対してESG統合アプローチをどのように調整するのか説明してください。

社債(金融)

See FI 10.1 above. We use sector specific scorecards to identify the most material ESG issues, i.e. issues that are credit relevant.

Examples of material issues which we have a particular focus on in the financial sector-scorecard: climate-related risks, ESG integration, business ethics and compliance, product quality and governance, management incentives and risk & resilience. We believe that these metrics gives a general indication of how corporate financial issuers are positioned.

The scorecard is used by the PM’s both once a year when the credit assessment of each issuer is updated, but also when evaluating a new bond issuer. Sometimes when we lack ESG data, the scorecard is used as a basis for dialogue with the issuer.

The ESG team also makes a qualitative assessment of the company's ESG profile and makes a recommendation (positive / neutral / negative outlook). The ESG data from the external service provider, which is a more of a quantitative score, is thus complemented by our own qualitative assessment.

These metrics are subject to change and are regularly reviewed. But in general we our assessment of corporate (financial) is tilted more towards governance issues.

社債(非金融)

See above. As described for the financial bond issuers, we use sector specific scorecards to identify the most material ESG issues, i.e. issues that are credit relevant.

For example, we have developed scorecards for sectors to which we have a greater exposure in our portfolios such as real estate, transportation and energy & utilities.

The scorecard is used by the PM’s both once a year when the credit assessment of each issuer is updated, but also when evaluating a new bond issuer. Sometimes when we lack ESG data, the scorecard is used as a basis for dialogue with the issuer.

The ESG team also makes a qualitative assessment of the company's ESG profile and makes a recommendation (positive / neutral / negative outlook). The ESG data from the external service provider, which is a more of a quantitative score, is thus complemented by our own qualitative assessment.

10.3. 補足情報 [任意]


FI 11. Integration - ESG information in investment processes

11.1. ESG情報が、通常、投資プロセスの一部としてどのように使用されるのか記載してください。

当てはまるものをすべて選択してください
社債(金融)
社債(非金融)
ESG分析をファンダメンタル分析に組み込んでいる
ESG分析が発行体の内部信用評価を調整するために利用される
ESG分析が予想財務業績および将来キャッシュフロー予測を調整するために利用される
ESG分析が発行体の同業グループと比較したランキングに影響する
発行体のESG債スプレッドおよび同セクター企業に対するその相対価値が、すべてのリスクが織り込まれているか否かを把握するために分析される
各種デュレーション/満期の発行体債券へのESG分析の影響が分析される。
感度分析およびシナリオ分析が、ベースケースとESG組み込み証券評価の差を比較する評価モデルに適用される
ESG分析が、ポートフォリオのウェイティング決定に組み込まれている
会社、セクター、国、通貨が、ESGエクスポージャーの変化およびリスク制限の違反についてモニタリングされる
ESGリスクが大きい証券についてポートフォリオのESGプロファイルが検討され、ベンチマークのESGプロファイルと比較して評価される
その他(具体的に記載してください)

11.2. 補足情報 [任意]

We have developed sector specific ESG scorecards including the most material aspects that could affect specific industries. These scorecards have been developed by the ESG-team in collaboration with the portfolio managers, outlining the ESG factors based on their potential risk and importance for the credit valuation. The scorecard is used by the PM’s both once a year when the credit assessment of each issuer is updated/adjusted. But it is also used by the PM when evaluating a new bond or issuer, alongside other credit-relevant metrics such as the issuer's bond spreads and term structure.

The ESG team use an ESG risk monitoring system to monitor for ESG risks in the portfolio. Changes to the ESG risk exposure and high-risk companies are regularly discussed


FI 12. Integration - E,S and G issues reviewed

12.1. 組織の統合プロセスでESG問題をどのように検討するか示してください。

E(環境)
S(社会)
G(ガバナンス)
社債(金融)

E(環境)

S(社会)

G(ガバナンス)

社債(非金融)

E(環境)

S(社会)

G(ガバナンス)

12.2. 組織の統合プロセスでE/S/G要因を検討する方法を詳しく説明してください。

社債(金融)

E, S and G factors and their underlying indicators are derived from different data providers, and feed into the ESG scorecard used by PM’s.

As a part of our fundamental ESG due diligence and analysis, we always cover the following standard ESG factors; environmental governance, climate change, resource use, human rights, employee relations, CSR strategy and business ethics.

Material issues covered in ESG scorecard (specific for corporate financial issuers) are climate-related risks, ESG integration, business ethics and compliance, product quality and governance, management incentives and risk culture & resilience. In terms of financial bond issuers, the ESG factor relevance is more skewed towards social and governance issues.

社債(非金融)

E, S and G factors and their underlying indicators are derived from different data providers, and feed into the ESG scorecard used by PM’s.

As a part of our fundamental ESG due diligence and analysis, we always cover the following standard ESG factors; environmental governance, climate change, resource use, human rights, employee relations, CSR strategy and business ethics.

The materiality of different ESG factors depend on the particular issuer and industry.

12.3. 補足情報 [任意]


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